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Efficient and Equilibrium Allocations with Stochastic Differential Utility, Journal of Mathematical Economics
Abstract
This paper presents results on the existence and characterization of Pareto efficient and of equilibrium allocations in a continuous-time setting under uncertainty in which agents have stochastic differential utility, a version of recursive utility. In order to characterize equilibrium and efficient allocations in terms of pointwise first order conditions, uniform properness conditions on preferences are avoided.
Type
Article
Author(s)
Date Published
1994
Citations
. 1994. Efficient and Equilibrium Allocations with Stochastic Differential Utility. Journal of Mathematical Economics.(2): 133-146.